کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5099617 | 1377019 | 2007 | 28 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Pricing home mortgages and bank collateral: A rational expectations approach
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
The efficiency of the housing finance system is of interest to homeowners, financial intermediaries and policy makers. We study the design of optimal mortgage contracts for risk-averse economic agents with access to symmetric information on the payoffs of a risky home. Our non-linear framework helps demonstrate the pareto-efficiency of a risk-free loan over its risky counterpart. It also allows us to evaluate the unique equilibrium interest rate, loan amount and home price in contrast to the capital structure theorems. Finally, we conduct numerical simulations (in lieu of comparative statics) to shed some light on the complex causal relationship between mortgage pricing parameters and the underlying collateral (i.e., home value).
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 31, Issue 4, April 2007, Pages 1217-1244
Journal: Journal of Economic Dynamics and Control - Volume 31, Issue 4, April 2007, Pages 1217-1244
نویسندگان
M. Shahid Ebrahim, Ike Mathur,